{"id":"https://openalex.org/W4416195604","doi":"https://doi.org/10.1145/3768292.3771255","title":"Contextual Time Series Embedding: A State Space Perspective for Financial Data","display_name":"Contextual Time Series Embedding: A State Space Perspective for Financial Data","publication_year":2025,"publication_date":"2025-11-14","ids":{"openalex":"https://openalex.org/W4416195604","doi":"https://doi.org/10.1145/3768292.3771255"},"language":null,"primary_location":{"id":"doi:10.1145/3768292.3771255","is_oa":false,"landing_page_url":"https://doi.org/10.1145/3768292.3771255","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 6th ACM International Conference on AI in Finance","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5040073385","display_name":"Guanchao Feng","orcid":"https://orcid.org/0000-0001-6021-0243"},"institutions":[{"id":"https://openalex.org/I4210122335","display_name":"BlackRock (United States)","ror":null,"country_code":"US","type":null,"lineage":["https://openalex.org/I4210122335"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Guanchao Feng","raw_affiliation_strings":["BlackRock, Inc., New York, USA"],"affiliations":[{"raw_affiliation_string":"BlackRock, Inc., New York, USA","institution_ids":["https://openalex.org/I4210122335"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5120547382","display_name":"James Lavinder","orcid":"https://orcid.org/0009-0004-6206-0655"},"institutions":[{"id":"https://openalex.org/I4210122335","display_name":"BlackRock (United States)","ror":null,"country_code":"US","type":null,"lineage":["https://openalex.org/I4210122335"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"James Lavinder","raw_affiliation_strings":["BlackRock, Inc., London, United Kingdom"],"affiliations":[{"raw_affiliation_string":"BlackRock, Inc., London, United Kingdom","institution_ids":["https://openalex.org/I4210122335"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5086332700","display_name":"Yanfei Huang","orcid":"https://orcid.org/0009-0006-7762-6679"},"institutions":[{"id":"https://openalex.org/I4210122335","display_name":"BlackRock (United States)","ror":null,"country_code":"US","type":null,"lineage":["https://openalex.org/I4210122335"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Yanfei Huang","raw_affiliation_strings":["BlackRock, Inc., London, United Kingdom"],"affiliations":[{"raw_affiliation_string":"BlackRock, Inc., London, United Kingdom","institution_ids":["https://openalex.org/I4210122335"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5012191170","display_name":"Ding Zhao","orcid":"https://orcid.org/0009-0008-2042-6013"},"institutions":[{"id":"https://openalex.org/I4210122335","display_name":"BlackRock (United States)","ror":null,"country_code":"US","type":null,"lineage":["https://openalex.org/I4210122335"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Ding Zhao","raw_affiliation_strings":["BlackRock, Inc., Boston, USA"],"affiliations":[{"raw_affiliation_string":"BlackRock, Inc., Boston, USA","institution_ids":["https://openalex.org/I4210122335"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5110691427","display_name":"M. R. S. Hawkins","orcid":"https://orcid.org/0009-0009-3290-290X"},"institutions":[{"id":"https://openalex.org/I4210090832","display_name":"Blackrock Microsystems (United States)","ror":"https://ror.org/00bvzmn76","country_code":"US","type":"company","lineage":["https://openalex.org/I4210090832"]},{"id":"https://openalex.org/I4210122335","display_name":"BlackRock (United States)","ror":null,"country_code":"US","type":null,"lineage":["https://openalex.org/I4210122335"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Morgan Hawkins","raw_affiliation_strings":["BlackRock, Inc., Atlanta, USA"],"affiliations":[{"raw_affiliation_string":"BlackRock, Inc., Atlanta, USA","institution_ids":["https://openalex.org/I4210122335","https://openalex.org/I4210090832"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5120350464","display_name":"Dipanker Koirala","orcid":"https://orcid.org/0009-0000-8185-7353"},"institutions":[{"id":"https://openalex.org/I4210122335","display_name":"BlackRock (United States)","ror":null,"country_code":"US","type":null,"lineage":["https://openalex.org/I4210122335"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Dipanker Koirala","raw_affiliation_strings":["BlackRock, Inc., San Francisco, USA"],"affiliations":[{"raw_affiliation_string":"BlackRock, Inc., San Francisco, USA","institution_ids":["https://openalex.org/I4210122335"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5056701307","display_name":"Dhagash Mehta","orcid":"https://orcid.org/0000-0002-1040-9032"},"institutions":[{"id":"https://openalex.org/I4210122335","display_name":"BlackRock (United States)","ror":null,"country_code":"US","type":null,"lineage":["https://openalex.org/I4210122335"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Dhagash Mehta","raw_affiliation_strings":["BlackRock, Inc., New York, USA"],"affiliations":[{"raw_affiliation_string":"BlackRock, Inc., New York, USA","institution_ids":["https://openalex.org/I4210122335"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":7,"corresponding_author_ids":["https://openalex.org/A5040073385"],"corresponding_institution_ids":["https://openalex.org/I4210122335"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.18437221,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"552","last_page":"560"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T13702","display_name":"Machine Learning in Healthcare","score":0.3662000000476837,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T13702","display_name":"Machine Learning in Healthcare","score":0.3662000000476837,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T12205","display_name":"Time Series Analysis and Forecasting","score":0.23260000348091125,"subfield":{"id":"https://openalex.org/subfields/1711","display_name":"Signal Processing"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10775","display_name":"Generative Adversarial Networks and Image Synthesis","score":0.066600002348423,"subfield":{"id":"https://openalex.org/subfields/1707","display_name":"Computer Vision and Pattern Recognition"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/perspective","display_name":"Perspective (graphical)","score":0.6420000195503235},{"id":"https://openalex.org/keywords/series","display_name":"Series (stratigraphy)","score":0.6179999709129333},{"id":"https://openalex.org/keywords/state-space","display_name":"State space","score":0.5449000000953674},{"id":"https://openalex.org/keywords/bayesian-probability","display_name":"Bayesian probability","score":0.4993000030517578},{"id":"https://openalex.org/keywords/time-series","display_name":"Time series","score":0.4867999851703644},{"id":"https://openalex.org/keywords/state","display_name":"State (computer science)","score":0.486299991607666},{"id":"https://openalex.org/keywords/missing-data","display_name":"Missing data","score":0.46810001134872437},{"id":"https://openalex.org/keywords/space","display_name":"Space (punctuation)","score":0.4392000138759613}],"concepts":[{"id":"https://openalex.org/C12713177","wikidata":"https://www.wikidata.org/wiki/Q1900281","display_name":"Perspective (graphical)","level":2,"score":0.6420000195503235},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.6179999709129333},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5619000196456909},{"id":"https://openalex.org/C72434380","wikidata":"https://www.wikidata.org/wiki/Q230930","display_name":"State space","level":2,"score":0.5449000000953674},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.5238000154495239},{"id":"https://openalex.org/C107673813","wikidata":"https://www.wikidata.org/wiki/Q812534","display_name":"Bayesian probability","level":2,"score":0.4993000030517578},{"id":"https://openalex.org/C151406439","wikidata":"https://www.wikidata.org/wiki/Q186588","display_name":"Time series","level":2,"score":0.4867999851703644},{"id":"https://openalex.org/C48103436","wikidata":"https://www.wikidata.org/wiki/Q599031","display_name":"State (computer science)","level":2,"score":0.486299991607666},{"id":"https://openalex.org/C9357733","wikidata":"https://www.wikidata.org/wiki/Q6878417","display_name":"Missing data","level":2,"score":0.46810001134872437},{"id":"https://openalex.org/C2778572836","wikidata":"https://www.wikidata.org/wiki/Q380933","display_name":"Space (punctuation)","level":2,"score":0.4392000138759613},{"id":"https://openalex.org/C102366305","wikidata":"https://www.wikidata.org/wiki/Q1097688","display_name":"Nonparametric statistics","level":2,"score":0.4343999922275543},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.43320000171661377},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.38670000433921814},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.36880001425743103},{"id":"https://openalex.org/C26517878","wikidata":"https://www.wikidata.org/wiki/Q228039","display_name":"Key (lock)","level":2,"score":0.3659000098705292},{"id":"https://openalex.org/C160234255","wikidata":"https://www.wikidata.org/wiki/Q812535","display_name":"Bayesian inference","level":3,"score":0.34709998965263367},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3325999975204468},{"id":"https://openalex.org/C49937458","wikidata":"https://www.wikidata.org/wiki/Q2599292","display_name":"Probabilistic logic","level":2,"score":0.32010000944137573},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.31279999017715454},{"id":"https://openalex.org/C52918065","wikidata":"https://www.wikidata.org/wiki/Q230945","display_name":"State-space representation","level":2,"score":0.28529998660087585},{"id":"https://openalex.org/C2988382989","wikidata":"https://www.wikidata.org/wiki/Q370685","display_name":"Data space","level":2,"score":0.2824000120162964},{"id":"https://openalex.org/C160920958","wikidata":"https://www.wikidata.org/wiki/Q7662746","display_name":"Synthetic data","level":2,"score":0.2651999890804291},{"id":"https://openalex.org/C2780966255","wikidata":"https://www.wikidata.org/wiki/Q5474306","display_name":"Foundation (evidence)","level":2,"score":0.25929999351501465},{"id":"https://openalex.org/C80444323","wikidata":"https://www.wikidata.org/wiki/Q2878974","display_name":"Theoretical computer science","level":1,"score":0.2578999996185303},{"id":"https://openalex.org/C2776214188","wikidata":"https://www.wikidata.org/wiki/Q408386","display_name":"Inference","level":2,"score":0.2538999915122986}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1145/3768292.3771255","is_oa":false,"landing_page_url":"https://doi.org/10.1145/3768292.3771255","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 6th ACM International Conference on AI in Finance","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":30,"referenced_works":["https://openalex.org/W187371506","https://openalex.org/W1549386224","https://openalex.org/W1965357685","https://openalex.org/W1966425161","https://openalex.org/W1995834279","https://openalex.org/W2047134779","https://openalex.org/W2094006360","https://openalex.org/W2482896810","https://openalex.org/W2749587125","https://openalex.org/W2765080389","https://openalex.org/W2893230400","https://openalex.org/W3080253043","https://openalex.org/W3123647737","https://openalex.org/W3123675609","https://openalex.org/W3123933399","https://openalex.org/W3172867975","https://openalex.org/W3188872815","https://openalex.org/W3190469032","https://openalex.org/W3199148273","https://openalex.org/W3213095500","https://openalex.org/W4205539948","https://openalex.org/W4224924578","https://openalex.org/W4230177757","https://openalex.org/W4238892808","https://openalex.org/W4241584625","https://openalex.org/W4380763449","https://openalex.org/W4382753081","https://openalex.org/W4385385037","https://openalex.org/W4404351478","https://openalex.org/W4404351508"],"related_works":[],"abstract_inverted_index":{"In":[0],"this":[1],"work,":[2],"we":[3],"propose":[4],"a":[5,53],"novel":[6],"and":[7,67],"principled":[8,69],"framework":[9],"for":[10],"learning":[11],"contextual":[12,44],"embeddings":[13,40],"of":[14],"financial":[15],"time":[16],"series":[17,22],"that":[18,41,57],"captures":[19,42],"how":[20],"individual":[21],"co-evolve":[23],"with":[24,34],"others":[25],"over":[26],"time.":[27],"Our":[28],"method":[29,37],"combines":[30],"state":[31],"space":[32],"reconstruction":[33],"Bayesian":[35],"nonparametric":[36],"to":[38],"produce":[39],"inter-series":[43],"relationships":[45],"inferred":[46],"from":[47],"intrinsic":[48],"dynamics.":[49],"This":[50],"approach":[51],"provides":[52],"unified":[54],"theoretical":[55],"foundation":[56],"generalizes":[58],"several":[59],"prior":[60],"methods,":[61],"while":[62],"naturally":[63],"handling":[64],"missing":[65],"samples":[66],"enabling":[68],"uncertainty":[70],"quantification.":[71]},"counts_by_year":[],"updated_date":"2026-03-27T05:58:40.876381","created_date":"2025-11-14T00:00:00"}
